Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Andreas Kaeck, Paulo Rodrigues, Norman J. Seeger
| Year of publication: |
May 2018
|
|---|---|
| Authors: | Kaeck, Andreas ; Rodrigues, Paulo Jorge Maurício ; Seeger, Norman |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 90.2018, p. 1-29
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| Subject: | Out-of-sample specification tests | Jump-diffusion models | Lévy-jump models | Non-affine variance models | Forecasting | Prognoseverfahren | Forecasting model | Theorie | Theory | Modellierung | Scientific modelling | Kapitaleinkommen | Capital income | Schätzung | Estimation | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2018.01.040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974016